Since I am assuming multiple breaks, I created 6 by 10 matrix by
matrix(6,10) breaks
and used
breaks(!j,!i)=eq.@breaks(!j)
in the loop, is shows following error:
@BREAKS is not a member or procedure of EQ in "BREAKS(1,1)=EQ.@BREAKS(1)
Bai and Perron multiple break test
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- Fe ddaethom, fe welon, fe amcangyfrifon
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- Fe ddaethom, fe welon, fe amcangyfrifon
- Posts: 13318
- Joined: Tue Sep 16, 2008 5:38 pm
Re: Bai and Perron multiple break test
Thanks Gareth,
It works in Eviews 10 (provides the breakdates in vector).
It works in Eviews 10 (provides the breakdates in vector).
Re: Bai and Perron multiple break test
hi
i need urgent help on Bai-Perron test.
I dont know how to estimate these results and what breaks are significant.
I am testing for break in the spread then testing for break in the regression of the residuals on the Google trends events.
Would you please reply me as soon as possible.
Bria
Sequential F-statistic determined breaks: 4
Scaled Critical
Break Test F-statistic F-statistic Value**
0 vs. 1 * 1570.772 1570.772 8.58
1 vs. 2 * 144.9649 144.9649 10.13
2 vs. 3 * 63.33356 63.33356 11.14
3 vs. 4 * 46.49056 46.49056 11.83
4 vs. 5 0.000000 0.000000 12.25
* Significant at the 0.05 level.
** Bai-Perron (Econometric Journal, 2003) critical values.
Break dates:
Sequential Repartition
1 7/11/2017 6/13/2017
2 9/12/2017 7/11/2017
3 6/13/2017 8/07/2017
4 8/07/2017 9/12/2017
i need urgent help on Bai-Perron test.
I dont know how to estimate these results and what breaks are significant.
I am testing for break in the spread then testing for break in the regression of the residuals on the Google trends events.
Would you please reply me as soon as possible.
Bria
Sequential F-statistic determined breaks: 4
Scaled Critical
Break Test F-statistic F-statistic Value**
0 vs. 1 * 1570.772 1570.772 8.58
1 vs. 2 * 144.9649 144.9649 10.13
2 vs. 3 * 63.33356 63.33356 11.14
3 vs. 4 * 46.49056 46.49056 11.83
4 vs. 5 0.000000 0.000000 12.25
* Significant at the 0.05 level.
** Bai-Perron (Econometric Journal, 2003) critical values.
Break dates:
Sequential Repartition
1 7/11/2017 6/13/2017
2 9/12/2017 7/11/2017
3 6/13/2017 8/07/2017
4 8/07/2017 9/12/2017
Re: Bai and Perron multiple break test
i mean i don't know how to interpret these results:
Sequential F-statistic determined breaks: 4
Scaled Critical
Break Test F-statistic F-statistic Value**
0 vs. 1 * 1570.772 1570.772 8.58
1 vs. 2 * 144.9649 144.9649 10.13
2 vs. 3 * 63.33356 63.33356 11.14
3 vs. 4 * 46.49056 46.49056 11.83
4 vs. 5 0.000000 0.000000 12.25
* Significant at the 0.05 level.
** Bai-Perron (Econometric Journal, 2003) critical values.
Break dates:
Sequential Repartition
1 7/11/2017 6/13/2017
2 9/12/2017 7/11/2017
3 6/13/2017 8/07/2017
4 8/07/2017 9/12/2017
Sequential F-statistic determined breaks: 4
Scaled Critical
Break Test F-statistic F-statistic Value**
0 vs. 1 * 1570.772 1570.772 8.58
1 vs. 2 * 144.9649 144.9649 10.13
2 vs. 3 * 63.33356 63.33356 11.14
3 vs. 4 * 46.49056 46.49056 11.83
4 vs. 5 0.000000 0.000000 12.25
* Significant at the 0.05 level.
** Bai-Perron (Econometric Journal, 2003) critical values.
Break dates:
Sequential Repartition
1 7/11/2017 6/13/2017
2 9/12/2017 7/11/2017
3 6/13/2017 8/07/2017
4 8/07/2017 9/12/2017
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